In IIS7 for Vista, you can select your machine and it gives you serveral options in which you can use to configure your system. Where is this file stored at? It seems like there's a big master.config file which stores all my settings like the "Connection Strings" which are inherited by the webpages.
Supposedly it's some file named machine.config but nothing I change in the IIS manager for my machine changes there.
If you're talking about machine-wide ASP.NET configuration, look under your .NET framework config directory, e.g. C:\WINDOWS\Microsoft.NET\Framework\v2.0.50727\CONFIG - check web.config and machine.config for the settings you've been configuring.
(Note: this is a bit of an educated guess. Don't take it as definitely correct without checking. Unfortunately I can't do so myself at the moment...)
"Connection Strings" do seem to be in the web.config file
There can be multiple web.config files in a single web project (but not in a single directory), but here, you are referring to the configuration system files, including:
windows\microsoft.net\framework\v2.0.50727\config\machine.config: Holds the global defaults for the .NET framework settings, including some of the ASP.NET ones web.config: same location, with the rest of the settings.